"I'm alive by the mercy of God," Castro wrote in Spanish on Instagram. "They took my chain and they wanted to kill me. It's unbelievable."
The incident took place while Castro was traveling to work out.
The Dominican pitcher was reportedly unharmed physically.
"We are in contact with Miguel Castro regarding today's incident in La Romana, DR and we are very thankful that he is safe," Orioles general manager Mike Elias said in a statement.
The 25-year-old has spent parts of five seasons in the majors, appearing for the Blue Jays, Rockies and Orioles. He spent the past three years in Baltimore, accumulating a 4.06 ERA in 226 total innings during this stretch, mostly out of the bullpen.